# Emanuel Derman > Writer and Professor Emeritus of Financial Engineering at Columbia University ## Posts - [A Day to Honor Emanuel Derman at his Retirement from Columbia](https://emanuelderman.com/a-day-to-honor-emanuel-derman-at-his-retirement-from-columbia/): Program - [The GS Quantitative Strategies Papers](https://emanuelderman.com/the-gs-quantitative-strategies-papers/): On Github github.com… - [Charcoal Drawing](https://emanuelderman.com/charcoal-drawing/) - [Excerpt from Chapter 25 of Brief Hours and Weeks: The Red and the Black](https://emanuelderman.com/excerpt-from-chapter-25-of-brief-hours-and-weeks-the-red-and-the-black/): … I push open the low front gate to their house. Something happens. As the door opens I register flesh and solidity and a fullness that seems to burst all boundaries.  She is in her late thirties. Her hair is dark black, thick and stiffly coiffed above a broad white forehead; she has heavy black carefully plucked eyebrows above dark brown eyes, a thick sensual nose, and somehow impatient red lips. I think momentarily of Myrtle, Tom Buchanan’s energetic and common mistress in The Great Gatsby. “I’m Mrs Gold,” she says. Her voice is deep and sonorous and slow, no-nonsense, but…Continue readingEntranced by causality - [J M Coetzee on my new book, Brief Hours and Weeks](https://emanuelderman.com/j-m-coetzee-on-my-new-book-brief-hours-and-weeks/): “Brief Hours and Weeks awakes many memories of Cape Town, the city of Emanuel Derman’s youth and mine, as it was half a century ago. The chapter on the lonely Mrs Gold is a triumph.” – J M Coetzee, Nobel Laureate Available Mar 1 at Brief Hours and Weeks: My Life as a Capetonian - [A Short Excerpt From Chapter 9 of "Brief Hours and Weeks"](https://emanuelderman.com/a-short-excerpt-from-chapter-9-of-brief-hours-and-weeks/): CHAPTER 9. THE ISLE OF CAPRI … I do like girls, but all I want is for them to like me back, a lot. Dayenu. In Montagu when I am ten I like to hang out with the older kids. One of them is a girl who is also on vacation there the year I turn ten. She is twelve or thirteen, older, dark, vivacious. Her name is Rosa Ladny, from Sea Point in Cape Town. I’ve never known a girl with such a euphonious name – Rosa – before. She tosses her head and hair scornfully when she replies to boys’…Continue readingEntranced by causality - [Summertime: An Excerpt from "Brief Hours and Weeks"](https://emanuelderman.com/summertime-an-excerpt-from-brief-hours-and-weeks/): You love a while and when love goesYou try to hide the tears inside with a cheerful pose.But in the hush of night exactly like a bittersweet refrain Comes that certain smile to haunt your heart again. - [Valuing Contracts with Payoffs Based on Realized Volatility](https://emanuelderman.com/valuing-contracts-with-payoffs-based-on-realized-volatility/) - [Review of "My Life as a Quant" and "The Quants" by Wight Martindale](https://emanuelderman.com/review-of-my-life-as-a-quant-and-the-quants-by-wight-martindale/): This is a review that I just came across from a while back. I like what he says about my long-ago My Life as a Quant: - [Self Portrait](https://emanuelderman.com/model-2/) - [Ageism](https://emanuelderman.com/ageism/): Ageism is a mystery and paradox of self-delusion. How can one make disparaging remarks about old people without the consciousness that, if you live long enough, you too will be old, suffer the thousand natural shocks the flesh is heir to, will bear the whips and scorns of time? How can you ridicule what you are pretty certainly going to become? - [Model](https://emanuelderman.com/model/) - [Callicoon Room With A View](https://emanuelderman.com/callicoon-room-with-a-view/) - [MIsbehavioral Psychology](https://emanuelderman.com/misbehavioral-psychology/): This is my tale of disappointment, of ground-breaking research gone awry and then embraced as a tool for political manipulation, written in December 2012. F.A.Z.-Column by Emanuel Derman: Misbehavioral Psychology – Modelle, die sich nicht benehmen – FAZ - [Storm King 2](https://emanuelderman.com/storm-king-2/) - [Callicoon](https://emanuelderman.com/callicoon/) - [Central Park Flowers](https://emanuelderman.com/central-park-flowers/) - [Storm King 1](https://emanuelderman.com/storm-king-1/) - [Sunday Morning in the Pandemic](https://emanuelderman.com/sunday-morning-in-the-pandemic/) - [Central Park](https://emanuelderman.com/central-park/) - [Self Portrait with Sinus Infection and AirPods (After Munch)](https://emanuelderman.com/self-portrait-with-sinus-infection-and-airpods-after-munch/) - [Summary of Black Scholes Derivations](https://emanuelderman.com/summary-of-black-scholes-derivations/): BlackScholesTwitter - [Why Is This Interesting? The Programming Edition](https://emanuelderman.com/why-is-this-interesting-the-programming-edition/): What all of these languages–FORTRAN, C, the UNIX shell sh and its text manipulation tools such as awk, vi and sed–had in common was that they were procedural: you gave a series of commands in a procedure and ordered the computer to carry them out step by step … In a functional language, in contrast, every statement is a function that takes input and transforms it into a different output, which in some generalized sense is what a program in toto is supposed to do whyisthisinteresting.substack.com…   - [Marcel Carné](https://emanuelderman.com/marcel-carne/): A few weeks ago I watched Marcel Carné’s Children of Paradise. I had heard of it before but always assumed it had something to do with Les Enfants Terrible and had no interest. But luckily, browsing through the Criterion Channel, “a movie lover’s dream”, I clicked on it. It’s about a courtesan, named Garance, in the early 1800s in Paris, and four men over the years: ?a very serous mime, a womanizing actor, a criminal, and a count. It’s three hours long, in black and white, filmed through the last years of WWII under the Vichy government. Much of it…Continue readingEntranced by causality - [Maxwell's Equations](https://emanuelderman.com/maxwells-equations/): A graphical description of how Maxwell’s Equations lead to electromagnetic waves. Maxwells Equations Make Waves - [Why Is This Interesting: The Organic Olympics Edition](https://emanuelderman.com/why-is-this-interesting-the-organic-olympics-edition/): Though I hardly run much anymore, I recently bought myself a pair of fluorescent-pink Nike Vaporfly shoes (the only color available), the ones in which Eliud Kipchoge broke the world marathon record The Organic Olympics   - [Why Is This Interesting? - The Tetragrammaton Edition](https://emanuelderman.com/why-is-this-interesting-the-tetragrammaton-edition/): A single name–Bjork or Madonna–is grand. A single name with its own name is even grander.   - [The Boy's Guide to Pricing and Hedging](https://emanuelderman.com/the-boys-guide-to-pricing-and-hedging-2/): There is an unfortunate strain of pedantry running through the teaching of quantitative finance, one involving an excess of abstraction, formality, rigor, and axiomatisation that makes the subject unnecessarily daunting and difficult. The Young Person’s Guide to Pricing and Hedging The Boys Guide to Pricing and Hedging - [Why Is This Interesting: The Japan Edition](https://emanuelderman.com/why-is-this-interesting-the-japan-edition/): Good hotels disembody you but don’t depersonalize you. Why Is This Interesting: Life in the Hotel Okura - [Why Is This Interesting: The Volatility Edition](https://emanuelderman.com/why-is-this-interesting-the-volatility-edition/): Volatility is the propensity to continually change one’s current state, irrespective of the direction of the change. … Whereas uncertainty came late in the discussion of matter, it was there right at the start of finance. Why Is This Interesting: The Volatility Edition   - [Why Is This Interesting: E Pluribus Unum -- The Fracturing of Time and Space in Art](https://emanuelderman.com/e-pluribus-unum-the-fracturing-of-time-and-space-in-art/): One of my favorite artworks is a 1986 collage by David Hockney called? Pearblossom Hwy. A photo or print cannot do justice to the original, which is approximately 64″ x 46″. … The landscape in the collage looks almost continuous, but it’s distorted. It violates the rules of perspective. Some objects are too large, others too small. What’s too large are the items of familiar human significance–the farthest STOP sign, the letters painted on the road, the distant ‘Pearblossom Hwy’ street sign. Psychological perspective dominates linear perspective. whyisthisinteresting.substack.com… - [Why Is This Interesting - Being Foreign](https://emanuelderman.com/why-is-this-interesting-being-foreign/): I’ve lived here for close to fifty years, but I still see it with foreign eyes through which New York is a glamorous sophisticated place with skyscrapers and Top of the Sixes and the Village and the Fillmore East–the center of the universe actually–and everyone should envy you for being part of it.   Being Foreign: On The Commonality of Watching Movies, NYC, and Scientific Discovery - [Can One Hedge the Tail Risk of a Fund of Funds (2011)](https://emanuelderman.com/can-one-hedge-the-tail-risk-of-a-fund-of-funds-2011/):   We examine a broad variety of strategies intended to protect a fund of funds from downside risk, focusing on the protection provided by investing in particular types of hedge funds themselves as well as in overlays using commodities and credit or volatility derivatives. We find that downside risk is not a single thing. Historically, different strategies have been helpful hedges at different times. Allocations to CTA or Macro hedge funds would have been effective during prolonged momentum-driven crises. Gold and oil investments have been of more occasional help. CDS trading would have been useful in crises involving sovereign and…Continue readingEntranced by causality - [Soft Power](https://emanuelderman.com/the-soft-power-of-nickels-and-dimes/): When I was a blue-eyed boy in the early 1950s in Cape Town near the southern tip of Africa, much of the popular music on the radio was American. Though we were part of the British Commonwealth, it was American music I recall. My Polish-Jewish immigrant mother, if she sang in English, sang British songs. Sometimes WWII ones, like Vera Lynn’s Wish me Luck as You Wave Me Goodbyeand We’ll Meet Again. Sad to listen to those lost-world songs now. But my teen-age sister played meTeresa Brewer, who sang Music Music Music and Choo’n Gum. All those lyrics full of…Continue readingEntranced by causality - [The Song of Mandelay](https://emanuelderman.com/the-song-of-mandelay/): Mother Goddam’s bar in Mandelay Seven planks over the greenish bay Goddam, what kind of establishment that was! Fifteen men waiting for their turn The last one with his watch he cheers Ho-hey Come one! There’s many men in Mandalay!   The people there were finest in the land Jesus, they had more than enough to spend And everything right then Would be just fine If the man inside Would take a shorter time Take the Browning, shoot open the door The guy inside is slowing down the flux.   Hurry Johnny hey Hurry Johnny hey Let’s go sing the…Continue readingEntranced by causality - [Happy End](https://emanuelderman.com/bagazh-happy-end/): It was many decades ago that I discovered Kurt Weill and Lotte Lenye. I had known, of course, about Bobby Darin’s Mack the Knife, but I never knew about Lotte Lenye and Kurt Weill until I came to Columbia. Down the hall from me in International House, and also studying physics, was Ete Szuts, a refugee from Hun?gary when the Russian tanks rolled in. He had come to New York years before me, and was perhaps a year or two older. His surname was pronounced “Seech”, he always explained, although everyone pronounced it “Zuts”, ?and his first name was “Ete”,…Continue readingEntranced by causality - [Physical vs Social Interventions](https://emanuelderman.com/physical-vs-social-interventions/): I have written about this topic more than ten years ago, but today I was reminded again of the immense difference between knowing what to do about physical problems vs knowing what to do about social or mental problems. Today, someone I know well was admitted to the emergency room at Lenox Hill (thank God they ended up OK). When I went to visit them I was overwhelmed by the sheer competency of what was happening there. The room was crowded with patients in various stages of distress. Doctors, nurses, administrators, technicians with mobile computers and measuring devices, all roamed…Continue readingEntranced by causality - [Psychological and Physical Time and Space](https://emanuelderman.com/psychological-and-physical-time-and-space/): The other night I was having dinner with an erstwhile collaborator (academic, not WWII) and we were talking about the relation between psychological time and calendar time in finance. I once long ago wrote a paper on this, in which I regarded psychological or trading time as the time ticked off by a clock that counts trading events rather than seconds. The trading frequency, the number of trades per second, can vary from moment to moment, so that there might be more psychological events in one minute and less in another. I considered the possibility that neoclassical finance and its…Continue readingEntranced by causality - [Why Financial Heists Are Getting Bigger](https://emanuelderman.com/why-financial-heists-are-getting-bigger/): Financial Heists – article in The Guardian Rogue trading, identity theft, massive debt and broken banks – what do you expect when money is just numbers on a screen? - [J.M. Coetzee on Afrikaners and English and Rage](https://emanuelderman.com/j-m-coetzee-on-afrikaners-and-english-and-rage/) - [The Phenomenology of Pleasure and Pain](https://emanuelderman.com/observations-on-the-phenomenology-of-pleasure-and-pain/): By the symbol ‘>’ I mean ‘dominates‘. Pain > Pleasure Physical pain > Psychic pain Psychic pleasure > Physical pleasure - [The Limitations of Machine Learning in Finding the Laws of Nature](https://emanuelderman.com/the-limitations-of-machine-learning-in-finding-the-laws-of-nature/): I have heard people claim that a machine learning program could have figured out, as Newton did, the force relation between two masses and the distance between them, that is Newton’s inverse square law of gravitation: F(m,M) = GmM/r^2. They imagine that Newton had taken a bunch of masses, put them at various distances from each other, and then measured the force between them with some sort of force-measurer, and then run a regression via some ML program. That is not it at all, as Alfred J Prufrock said a different context. Let me explain how it was done. Newton…Continue readingEntranced by causality - [Adequate Explanations](https://emanuelderman.com/adequate-explanations/): I once wrote a long chapter in my book Models.Behaving.Badly about Spinoza’s theory of the passions (affects) and how to free oneself of bondage to them. Here is a map of how the higher level emotions are related to the lower level primitive affects, according to Spinoza as drawn by me. But in the last few weeks I got interested in Spinoza’s Ethics again, and his theory of how one is supposed to escape bondage. The very simplified version goes something like this, writing from ancient recall: Humans obey laws of nature too. They don’t have the free will one…Continue readingEntranced by causality - [Intuition 2](https://emanuelderman.com/intuition-2/): People have amazing facilities for sensing something without knowing where it comes from (intuition); for sensing that some phenomenon or situation or object is like something else (association); and for building and testing connections and comparisons, holding two things in mind at the same time (metaphor).” — Robert Thurston “When thoughts are absent, words are brought in as convenient replacements” — Goethe (cited by Marx) “The axiomatic basis of theoretical physics cannot be extracted from experience, but must be freely invented” — Einstein quoted by Schwinger. - [Lecture at Institute of Physics](https://emanuelderman.com/lecture-at-institute-of-physics/): Video of Lecture on Models Behaving Badly at The Institute of Physics, London, 2013 - [Old Blog Post About Emigres from Totalitarian Countries](https://emanuelderman.com/old-blog-post-about-emigres-from-totalitarian-countries/): From the New York Times Style Section, Sep 1, 2030 Posted At : September 5, 2010 7:29 PM | Posted By : Emanuel Derman …Despite globalization, New York’s denizens still fondly remember the countries they came from. After the fall of North Korea, in 2015, many upper-class North Koreans were free to emigrate to the United States. Some of them, like the previous generations of Eastern Europeans who came here in the 1990s, sometimes get nostalgic for the lifestyle and system they left behind. Interviewed outside the Tavern on the Green Condominiums at Central Park yesterday, two fifty-something couples, former…Continue readingEntranced by causality - [A Stylized History of Quantitative Finance](https://emanuelderman.com/a-stylized-history-of-quantitative-finance/): The evolution of a quantitative approach to finance has proceeded through many small but significant steps and occasional large epiphanies. A Stylized History This was one of a series of three invited lectures in honor of the late Thys Visser given at Stellenbosch University, October 2018, and also at the African Institute of Mathematical Sciences.     - [Interview on Barry Ritholz's Masters in Business on Bloomberg Radio](https://emanuelderman.com/interview-on-barry-ritholzs-masters-in-business-on-bloomberg-radio/): iTunes Bloomberg www.bloomberg.com… SoundCloud soundcloud.com… - [A Scientific Approach to the Foundations of Finance](https://emanuelderman.com/a-scientific-approach-to-the-foundations-of-finance/): A brief lecture given at the BBQ, the Bloomberg Quant Seminar Scientific_Approach_to_Finance   - [Smoking (Part of Involuntary Affinities, Elective Aversions)](https://emanuelderman.com/smoking-part-of-involuntary-affinities-elective-aversions/): Even when I was a child, as soon as they saw that I liked the smell of petrol at the pump in my father?s garage, everyone knew I was going to be a smoker. Wilson who worked for my father pumped the petrol and let me sniff it where the nozzle entered the car?s tank. There were thin pools of floating petrol mixed with water on the concrete floor that made rainbow-like refraction patterns that I understood later when I learned about two-layer reflection interference. Wilson sometimes tried to amuse me. Once he took caps from my toy cap gun…Continue readingEntranced by causality - [My Review of ?The Age of Cryptocurrency?](https://emanuelderman.com/my-review-of-the-age-of-cryptocurrency/) - [Interview with New Scientist](https://emanuelderman.com/interview-with-new-scientist/) - [Fifty Shades of Blue](https://emanuelderman.com/fifty-shades-of-blue/) - [Let X be the Unknown: The Miracle of Algebra](https://emanuelderman.com/let-x-be-the-unknown-the-miracle-of-algebra/): As recollected from a Walt Kelly Pogo Cartoon in the NY Post in the early 1970s. Somewhere I have the original cartoon, which I will scan and post once I find it. There are four panels to the cartoon. In the Okefenokee swamps, Pogo and his two animal pals are trying to set up a quorum to take a vote. Here is their conversation: Pogo: The way to tell how many of us there is is by using algebra. Pal 1: It says here to let x be the unknown… that would be Snorbert Zangox, from?Waycross, Georgia. Pogo: He’s unknown?…Continue readingEntranced by causality - [Marriage Times Three](https://emanuelderman.com/marriage-times-three/): In Hong Kong the other day I saw an exhibition of photographs taken by Sebastian Salgado. Some of them were photographs of - [The Guardian Panel on the Piketty Phenomenon](https://emanuelderman.com/the-guardian-panel-on-the-piketty-phenomenon/): Why is Thomas Piketty’s 700-page book a bestseller? - [A Map of Spinoza's Passions](https://emanuelderman.com/a-map-of-spinozas-passions/) - [Great Rhymes](https://emanuelderman.com/great-rhymes/): Incredibly clever lyrics by Gershwin in this great - [Meetings with Remarkable Women](https://emanuelderman.com/meetings-with-remarkable-women/): The late flight I boarded for Europe took off precisely on time. I sent one last email before they closed the airplane doors and commanded me to switch off my phone. The flight assistant collected the glasses of water, orange juice, and champagne. I looked around me. To my right across the aisle sat a good-looking woman in what I estimated to be her late fifties: full-bodied, hair streaked blond with touches of grey, a white silk blouse with a few buttons open at the top tucked into very tight dark indigo denim jeans that were longer than capris but…Continue readingEntranced by causality - [In the Beginthing](https://emanuelderman.com/in-the-beginthing/): In the beginning, no Inside or Outside. When other things materialize, call them things. Things penetrate your boundary. Every thing is Inside or Outside. You cannot be neutral to penetrations; you must dislike them or desire them. No consciousness of the selfthing without dislike or desire. No dislike or desire without the existence of Outside selfthings. Self consciousness is knowledge of Outside selfthings. Contentment: being Inside. Anxiety: fear of moving from Outside to Inside, or vice versa. Disgust: the breakdown of the boundary. Temptation: the longing to break the boundary. Intuition: a sudden temporary disappearance of the boundary. Joy: the experience of…Continue readingEntranced by causality - [Self-consciousness is a Property of a System, a Relationship, not a Person](https://emanuelderman.com/mach-2-machs-principle-extended/): Mach’s principle says that the mass of the particle knows something about the fixed stars far away, and that angular motion relative to the fixed stars is an absolute motion, and that mass is somehow generated by interaction among all the masses. In isolation, perhaps, a single particle in an otherwise empty universe would have no mass. I suggest something similar applies to self-consciousness. It sounds like it’s an attribute of a single person. But perhaps self-consciousness is a property of a system, only arising out of a community, and wouldn’t exist in isolation, and therefore cannot be isolated in…Continue readingEntranced by causality - [Speech at Commencement 2014 to Berkeley MSE Grads](https://emanuelderman.com/speech-at-commencement-2014-to-berkeley-mse-grads/) - [Just a New York Conversation - From Frankfurter Allgemeine Zeitung Column](https://emanuelderman.com/just-a-new-york-conversation/): About ten years ago, after living in New York for three decades, I took a short vacation at Kvikne?s Hotel in Balestrand, right on the Sognefjord. Kaiser Wilhelm II summered there before World War I, and fittingly, the hotel felt very casually regal, or should I say kaiserish. Before dinner the first evening, overlooking the long deep placid fjord through which Kaiser Wilhelm must once have arrived with his entourage, we ended up having drinks with a couple from England. But, as the hour progressed, I grew increasingly perplexed by the conversation. Early on, I had volunteered what I did…Continue readingEntranced by causality - [On Mandela: Leading From The Front -- From Frankfurter Allgemeine Zeitung Column](https://emanuelderman.com/on-mandela-leading-from-the-front/) - [The Crying of Lot 49: A Calculated Withdrawal from The Life of the Republic](https://emanuelderman.com/the-crying-of-america-a-calculated-withdrawal-from-the-life-of-the-republic/): On a long trip from HK to JFK I reread The Crying of Lot 49 by Pynchon. I read it as a desperate attempt to find some transcendent numinous meaning and depth in an America homogenized by its material and spiritual progress into an ugly seedy place where mystery apparently no longer resides. Oedipa Maas, the protagonist, stumbles onto hints of an alternative secret mailing system organized by the centuries old originally European Tristero, with mailboxes randomly placed among the debris of strip malls and underpasses, serviced by hardly noticed bums who keep Tristero running in America. Some excerpts: Write…Continue readingEntranced by causality - [Norman Mailer on Ambition](https://emanuelderman.com/norman-mailer-on-ambition/): In 1950, Norman Mailer commented as follows in a letter to William Styron: I didn’t write [The] Naked [and the Dead] because I wanted to say war was horrible, or that history is complex, resistant, and almost inscrutable, or because I wanted to say that the coming battle between the naked fanatics and the dead mass was approaching, but because really what I wanted to say was, “Look at me, Norman Mailer, I’m alive, I’m a genius, I want people to know that; I’m a cripple, I want to hide that,” and so forth. - [The Necrophiliac-Haters' Guide to Building Arbitrage-Free Models*](https://emanuelderman.com/the-necrophiliac-haters-guide-to-building-arbitrage-free-models/): I am going to teach an introductory course in financial engineering, and I hate the way people who introduce the subject in continuous time struggle with martingales and changes of measure and formalism, and those who introduce it in discrete time and space struggle with Farkas Lemma / Hahn-Banach theorem/ Hyperplanes in order to get to the engineering knowledge of how to build arbitrage-free models. I always return to this topic because all of this just seems to me too heavy a burden for an introduction, perhaps even for anyone, and also hides the essential insight. So here, once again,…Continue readingEntranced by causality - [The Curse of the Martingale](https://emanuelderman.com/the-curse-of-the-martingale/): Occasionally I despair of the way people teach quantitative finance. They put so much effort into teaching students to do the heavy lifting of equivalent martingale measures. Having learned options theory before this stuff became de rigueur,  I think it’s overkill. I’m reluctantly in favor of teaching it to financial engineers because they have to live in a world when that’s how so many other people talk. But I wish people didn’t talk that way, didn’t talk about the fundamental theorem of finance, didn’t teach it as a branch of rigorous mathematics. I like to argue that you can get most…Continue readingEntranced by causality - [A Lesson in Wordless Pedagogy](https://emanuelderman.com/a-lesson-in-wordless-pedagogy/): To teach someone well, you have to be able to put yourself in that person’s mental place, because they are not you and don’t have the same assumptions and knowledge about the world that you do. I had a  good example of this yesterday. I was on Skype talking with a two-year old. To amuse her, I often either imitate her or do something stupid. Yesterday I put my finger to my lips and waggled them while saying bbbbbbbbb, thus emitting the immensely funny bbbbbl bbbbbbl bbbbbbl sound. - [Charles Darwin on Data and Theory](https://emanuelderman.com/charles-darwin-on-data-and-theory/): Data alone doesn’t have a voice. There is no substitute for theorizing and modeling. From a letter by Steven Weinberg in the NYR of Books on Jan 16 2003: …In an 1861 letter to a friend, Charles Darwin remarked, About thirty years ago there was much talk that geologists ought only to observe and not theorize; and I well remember some  one saying that at this rate a man might as well go into a gravel pit and count the pebbles and describe all the colours. How odd it is that anyone should not see that all observation must be…Continue readingEntranced by causality - [A Great Definition of Irony](https://emanuelderman.com/a-great-definition-of-irony/): I once read this in the Economist, in the year 2000, I believe, but cannot find the reference. Sir- Your article on irony (A quiet joke at your expense”, December 18) was amusing, but offers a definition of irony – “saying the opposite of what you mean” – different from that in Fowler’s Modern English Usage: “a form of utterance that postulates a double audience, consisting of one party that hearing shall hear & not understand, & another party that, when more is meant than meets the ear, is aware both of that more & of the outsiders’ incomprehension.” What…Continue readingEntranced by causality - [Announcement by Risk Magazine Top 50 Hall of Fame](https://emanuelderman.com/risk-magazine-top-50-hall-of-fame/): After 17 years at Goldman Sachs, Emanuel Derman decided it was time to take a break. Since leaving the firm in June, he has been writing a book and, in January, will begin teaching a course on volatility smiles at Columbia University. Derman’s book is about what it is like to be a quant. “It deals with what it’s like to move from a technical background to working with traders and sales teams,” he says. “It’s one-third quantitative in nature, one-third sociology and one-third memoir.” Alongside Fischer Black, Derman stands out as one of the key forces behind the development…Continue readingEntranced by causality - [Goldman?s Head Quant Derman to Retire (Risk Magazine, 22 May 2002)](https://emanuelderman.com/goldmans-head-quant-derman-to-retire/): 22 May – Emanuel Derman, head of Goldman Sachs’ quantitative risk strategies group in firmwide risk, will retire from the firm in June. Goldman Sachs’ chief financial officer David Viniar and chief administrative officer Barry Zubrow said in an internal memo that Derman was leaving to spend time writing and pursuing his interests in research. But it is rumoured he may take on a role in academia. Derman joined Goldman in 1985 in its financial strategies group, where he worked with Fischer Black and Bill Toy on the research that led to the 1990 Black-Derman-Toy yield-curve model. He then headed…Continue readingEntranced by causality - [Goldman Top Quant to Leave Wall Street (Derivatives Week, 2002)](https://emanuelderman.com/goldman-top-quant-to-leave-wall-street/): Goldman Top Quant to Leave Wall Street Derivatives Week Emanuel Derman, managing director and head of the quantitative risk strategies group in the firm-wide risk department in New York, is leaving Goldman Sachs next month. Derman is one of the most prominent quantitative analysts in the options area,” according to Andrew Harmstone, head of European derivatives and quantitative research at Lehman Brothers in London. Derman also won the International Association of Financial Engineers? coveted Financial Engineer of the Year award in 2000. Derman said he will be taking time off to undertake quantitative research and write books and is considering…Continue readingEntranced by causality - [Portrait of a Rocket Scientist (Global Finance, 1996)](https://emanuelderman.com/portrait-of-a-rocket-scientist/): Global Finance magazine article. - [The World According to Emanuel Derman - Interview in "Derivatives Strategy"](https://emanuelderman.com/the-world-according-to-emanuel-derman/): Derivatives Strategy DS: You’re a creator of models, but you also work with real live traders. How far do models go? Where does their value stop? When can you put too much trust in them? ED: I’ve been forced to be fairly pragmatic about them. There was a trading desk head who said that giving somebody a Black-Scholes calculator doesn’t make him a trader. The models give you some way of thinking about the problem you’re tackling, but they don’t necessarily give you the answer. I like to think of models as a Gedankenexperiments-the imaginary experiments physicists used to try…Continue readingEntranced by causality - [The Worlds of Yesterday](https://emanuelderman.com/the-worlds-of-yesteray/): Written for the Risk Magazine 15th Anniversary Book on Risk Management. I never expected to be in the business world, not even a few years before I finally entered it. I got here by a series of languid apparently low-volatility Brownian diffusions within one little world interspersed with sudden jumps to another. The transitions weren’t truly unexpected; their probability built up inside me up like a bubble, slowly and predictably. Growing up in Cape Town, where the college system required that you specialize immediately, I knew I wanted to be a scientist. Somewhat regretful to leave the more expansive world…Continue readingEntranced by causality - [Quants?The Alchemists of Wall Street](https://emanuelderman.com/quants-the-alchemists-of-wall-street/): A Vpro Backlight Documentary by Marije Meerman, featuring Paul Wilmott and Emanuel Derman. - [Moon over Queens, Mac over Manhattan](https://emanuelderman.com/moon-over-queens-mac-over-manhattan/): From my window, late at night. - [Models Behaving Badly: A Lecture](https://emanuelderman.com/models-behaving-badly-2/) - [The Young Person's Guide to Pricing and Hedging](https://emanuelderman.com/the-young-persons-guide-to-pricing-and-hedging/): An early outtake from my book Models.Behaving.Badly. An attempt to explain the principles of neoclassical finance from a rational point of view, and to point out the assumptions and their potential inapplicability. And no mean-variance optimization!! ____ Few people have the gift of grasping nature and using it directly: between knowledge and application they prefer to invent a phantom which they develop in great detail; doing so, they forget both object and purpose. Maxims and Reflections: Goethe     The Young Person’s Guide - [Quantos: Understanding Guaranteed Exchange Rate Contracts](https://emanuelderman.com/quantos-understanding-guaranteed-exchange-rate-contracts/): Understanding GER Contracts - [More from Prost, a fictional work in progress](https://emanuelderman.com/more-from-prost-a-fictional-work-in-progress/): Late in life, when his roots should have held him steady, he became unmoored, and it seemed inappropriate. But who determined what was appropriate? - [An eagerness to impart unnecessary information: Column in the FAZ](https://emanuelderman.com/an-eagerness-to-impart-unnecessary-information/): I find myself increasingly in irritated disagreement with the many neuroscientists and evangelically professional atheists who think that science is everything, that matter is all we have, and that photographic images of chemicals glowing in the brain are equivalent to thoughts and feelings. (I have no problem with their simply disbelieving in God.) - [A Fact That Needs No Underlying Theory: A Repeated Joke Isn't Funny](https://emanuelderman.com/a-parable-on-quantitative-easing/): Why it?s not funny anymore? - [Apologia Pro Sua Vita](https://emanuelderman.com/apologia-pro-sua-vita/): The author tries to justify a career spent in financial modeling. emanuelderman.com… - [Introduction by Frank Schirrmacher to my Frankfurter Allgemeine Zeitung Columns](https://emanuelderman.com/german-models/): The good days are here once again for models of the physical world: after a drought of almost fifty years, physicists at CERN have discovered what seems to be the long-awaited Higgs boson - [My German column in the FAZ](https://emanuelderman.com/my-german-column-in-the-faz/): www.faz.net… - [An excerpt from Prost, a work in progress](https://emanuelderman.com/an-excerpt-from-prost-a-work-in-progress/): All our fashions, in those days, were imported from America. - [The Powerful League of Missing Persons](https://emanuelderman.com/the-powerful-league-of-missing-persons/): Sometimes, quite often, Absence is so powerful that it's a Presence of its own. - [The End](https://emanuelderman.com/the-end/): When the era of rationality finally dawned, it became clear to everyone that love doesn?t last. - [My blind date with Rina Kolick](https://emanuelderman.com/my-blind-date-with-rina-kolick/): The other day while teaching I suddenly briefly felt really ill with a pain in my lower back and then broke out in a copious cold sweat over every part of me; even the hair on my head was as wet as though I'd had a five mile run. - [Memoirs of an AntiSemite: Anti-Semites in the Anti-Melting Pot](https://emanuelderman.com/anti-semites-in-the-anti-melting-pot/): I have been rereading (and enjoying, for the third time in my life) the book Memoirs of an Anti-Semite by Gregor von Rezzori. - [On Reading Merleau-Ponty](https://emanuelderman.com/my-life-as-a-pseud-and-other-stories/): I think I've maybe been a closet phenomenologist for the last 30 years, only I didn't know it. - [Interview with Bloomberg?s Jim Pressley](https://emanuelderman.com/interview-with-bloombergs-jim-pressley/): www.bloomberg.com… - [Aggression vs triumphalism](https://emanuelderman.com/aggression-vs-triumphalism/): I watched two recent finals -- The Australian Tennis Open (Djokovic vs. Nadal) and the Super Bowl (Giants vs. Patriots) and their endings were very different in spirit. - [Spinoza vs Schopenhauer on Love](https://emanuelderman.com/love-and-money/): Schopenhauer, in The World as Will and Representation, has a chapter on The Metaphysics of Sexual Love, and remarks how strange it is that love ceaselessly occupies people's thoughts, interests and readings, and yet has gone relatively unexamined from a philosophical point of view. - [Schrödinger Ethics: To me you're a wave, but to myself I'm sometimes a particle](https://emanuelderman.com/to-me-youre-a-wave-but-to-myself-im-sometimes-a-particle/): In quantum mechanics -- i.e. in the real world as we understand it today -- matter can have two kinds of formerly apparently contradictory qualities. The same applies to people. - [Entranced by causality](https://emanuelderman.com/entranced-by-causality/): Part of the reason economists and traders are likely to be fooled is because, underlying everything they do is the statistics of what is ultimately human behavior. - [Hayek on the Difference between the Foundations of Physics and Economics](https://emanuelderman.com/paraphrasing-hayek/): Self-schooled in finance and unschooled in economics, I was very glad to be sent a link to Hayek's Nobel Prize acceptance lecture. ## Pages - [test page](https://emanuelderman.com/test-page/): Writer and Professor Emeritus of Financial Engineering at Columbia University - [Home](https://emanuelderman.com/): Writer and Professor Emeritus of Financial Engineering at Columbia University BOOK Brief Hours and Weeks: My Life as a Capetonian BOOK Models Behaving Badly BOOK The Volatility Smile BOOK My Life as a Quant Emanuel Derman on X - [Brief Hours and Weeks: My Life as a Capetonian](https://emanuelderman.com/books/brief-hours-and-weeks-my-life-as-a-capetonian/) - [Contact](https://emanuelderman.com/contact/): Contact * indicates required Email Address * First Name Last Name Message 0 / 255     /* real people should not fill this in and expect good things – do not remove this or risk form bot signups */ - [Books by Emanuel Derman](https://emanuelderman.com/books/) - [The Volatility Smile](https://emanuelderman.com/books/the-volatility-smile/) - [Models. Behaving. Badly](https://emanuelderman.com/books/models-behaving-badly/) - [My Life as a Quant](https://emanuelderman.com/books/my-life-as-a-quant/) - [About Me](https://emanuelderman.com/about/): Writer and Professor Emeritus of Financial Engineering at Columbia University About Me - [OldHome](https://emanuelderman.com/test/) [comment]: # (Generated by Hostinger Tools Plugin)